Journal
JOURNAL OF APPLIED STATISTICS
Volume 42, Issue 3, Pages 648-661Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/02664763.2014.980789
Keywords
variance inflation factor; covariance matrix; collinearity; linear regression; ridge regression
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Funding
- project 'Valoracion de proyectos gubernamentales a largo plazo: obtencion de la tasa social de descuento' [P09-SEJ-05404]
- Proyectos de Excelencia de la Junta de Andalucia
- Fondos FEDER
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Ridge regression has been widely applied to estimate under collinearity by defining a class of estimators that are dependent on the parameter k. The variance inflation factor (VIF) is applied to detect the presence of collinearity and also as an objective method to obtain the value of k in ridge regression. Contrarily to the definition of the VIF, the expressions traditionally applied in ridge regression do not necessarily lead to values of VIFs equal to or greater than 1. This work presents an alternative expression to calculate the VIF in ridge regression that satisfies the aforementioned condition and also presents other interesting properties.
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